Qubx 0.2.64__tar.gz → 0.2.65__tar.gz

{qubx-0.2.64 → qubx-0.2.65}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: Qubx
-Version: 0.2.64
+Version: 0.2.65
 Summary: Qubx - quantitative trading framework
 Home-page: https://github.com/dmarienko/Qubx
 Author: Dmitry Marienko

{qubx-0.2.64 → qubx-0.2.65}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "Qubx"
-version = "0.2.64"
+version = "0.2.65"
 description = "Qubx - quantitative trading framework"
 authors = ["Dmitry Marienko <dmitry@gmail.com>", "Yuriy Arabskyy <yuriy.arabskyy@gmail.com>"]
 readme = "README.md"

{qubx-0.2.64 → qubx-0.2.65}/src/qubx/core/metrics.py

@@ -11,6 +11,8 @@ import re
 from scipy import stats
 from scipy.stats import norm
 from statsmodels.regression.linear_model import OLS
+from copy import copy
+from itertools import chain
 
 import plotly.graph_objects as go
 
@@ -918,10 +920,13 @@ def chart_signals(
         end = executions.index[-1]
 
     if portfolio is not None:
-        pnl = portfolio.filter(regex=f"{symbol}_PnL").loc[start:].cumsum()
+        symbol_count = len(portfolio.filter(like="_PnL").columns)
+        pnl = portfolio.filter(regex=f"{symbol}_PnL").cumsum() + result.capital / symbol_count
+        pnl = pnl.loc[start:]
         if apply_commissions:
             comm = portfolio.filter(regex=f"{symbol}_Commissions").loc[start:].cumsum()
             pnl -= comm.values
+        pnl = (pnl / pnl.iloc[0] - 1) * 100
         indicators["PnL"] = ["area", "green", pnl]
         if show_quantity:
             pos = portfolio.filter(regex=f"{symbol}_Pos").loc[start:]
@@ -1015,3 +1020,24 @@ def get_symbol_pnls(
         pnls.append(s.portfolio_log.filter(like="_PnL").cumsum().iloc[-1])
 
     return pd.DataFrame(pnls, index=[s.name for s in session])
+
+
+def combine_sessions(sessions: list[TradingSessionResult], name: str = "Portfolio") -> TradingSessionResult:
+    session = copy(sessions[0])
+    session.name = name
+    session.instruments = list(set(chain.from_iterable([e.instruments for e in sessions])))
+    session.portfolio_log = pd.concat(
+        [e.portfolio_log.loc[:, (e.portfolio_log != 0).any(axis=0)] for e in sessions], axis=1
+    )
+    # remove duplicated columns, keep first
+    session.portfolio_log = session.portfolio_log.loc[:, ~session.portfolio_log.columns.duplicated()]
+    session.executions_log = pd.concat([s.executions_log for s in sessions], axis=0).sort_index()
+    session.signals_log = pd.concat([s.signals_log for s in sessions], axis=0).sort_index()
+    # remove duplicated rows
+    session.executions_log = (
+        session.executions_log.set_index("instrument_id", append=True).drop_duplicates().reset_index("instrument_id")
+    )
+    session.signals_log = (
+        session.signals_log.set_index("instrument_id", append=True).drop_duplicates().reset_index("instrument_id")
+    )
+    return session

{qubx-0.2.64 → qubx-0.2.65}/src/qubx/core/series.pxd

@@ -36,11 +36,6 @@ cdef class Indicator(TimeSeries):
     cdef public TimeSeries series
     cdef public TimeSeries parent
 
-
-cdef class IndicatorOHLC(Indicator):
-    pass
-
-
 cdef class RollingSum:
     """
     Rolling fast summator
@@ -49,7 +44,7 @@ cdef class RollingSum:
     cdef np.ndarray __s
     cdef unsigned int __i
     cdef double rsum
-    cdef unsigned short is_init_stage 
+    cdef public unsigned short is_init_stage 
 
     cpdef double update(RollingSum self, double value, short new_item_started)
 
@@ -110,3 +105,8 @@ cdef class Quote:
     cdef public double ask_size
 
     cpdef double mid_price(Quote self)
+
+
+cdef class IndicatorOHLC(Indicator):
+    pass
+

{qubx-0.2.64 → qubx-0.2.65}/src/qubx/core/series.pyi

@@ -83,6 +83,11 @@ class Indicator(TimeSeries):
 
     def update(self, time: int, value, new_item_started: bool) -> object: ...
 
-class IndicatorOHLC(Indicator): ...
+class IndicatorOHLC(Indicator):
+    series: OHLCV
 
 def time_as_nsec(time: Any) -> np.datetime64: ...
+
+class RollingSum:
+    def __init__(self, period: int) -> None: ...
+    def update(self, value: float, new_item_started: bool) -> float: ...

{qubx-0.2.64 → qubx-0.2.65}/src/qubx/ta/indicators.pxd

@@ -134,5 +134,6 @@ cdef class Swings(IndicatorOHLC):
     # tops_detection_lag contain time lag when top was actually spotted
     cdef public TimeSeries tops, tops_detection_lag
     cdef public TimeSeries bottoms, bottoms_detection_lag
+    cdef public TimeSeries middles, deltas
 
     cpdef double calculate(self, long long time, Bar bar, short new_item_started)

{qubx-0.2.64 → qubx-0.2.65}/src/qubx/ta/indicators.pyi

@@ -15,8 +15,20 @@ def smooth(series: TimeSeries, smoother: str, *args, **kwargs) -> Indicator: ...
 def atr(series: OHLCV, period: int = 14, smoother="sma", percentage: bool = False): ...
 def swings(series: OHLCV, trend_indicator, **indicator_args): ...
 
+class Sma(Indicator):
+    def __init__(self, name: str, series: TimeSeries, period: int): ...
+
+class Ema(Indicator):
+    def __init__(self, name: str, series: TimeSeries, period: int, init_mean: bool = True): ...
+
 class Kama(Indicator):
     def __init__(self, name: str, series: TimeSeries, period: int, fast_span: int = 2, slow_span: int = 30): ...
 
 class Atr(IndicatorOHLC):
     def __init__(self, name: str, series: OHLCV, period: int, smoother: str, percentage: bool): ...
+
+class Swings(IndicatorOHLC):
+    tops: TimeSeries
+    bottoms: TimeSeries
+    middles: TimeSeries
+    deltas: TimeSeries

{qubx-0.2.64 → qubx-0.2.65}/src/qubx/ta/indicators.pyx

@@ -612,6 +612,9 @@ cdef class Swings(IndicatorOHLC):
         self.bottoms = TimeSeries("bottoms", series.timeframe, series.max_series_length)
         self.bottoms_detection_lag = TimeSeries("bottoms_lag", series.timeframe, series.max_series_length)
 
+        self.middles = TimeSeries("middles", series.timeframe, series.max_series_length)
+        self.deltas = TimeSeries("deltas", series.timeframe, series.max_series_length)
+
         self._min_l = +np.inf
         self._max_h = -np.inf
         self._max_t = 0
@@ -630,6 +633,9 @@ cdef class Swings(IndicatorOHLC):
                 if self._max_t > 0:
                     self.tops.update(self._max_t, self._max_h)
                     self.tops_detection_lag.update(self._max_t, time - self._max_t)
+                    if len(self.bottoms) > 0:
+                        self.middles.update(time, (self.tops[0] + self.bottoms[0]) / 2)
+                        self.deltas.update(time, self.tops[0] - self.bottoms[0])
 
                 if bar.low <= self._min_l:
                     self._min_l = bar.low
@@ -642,6 +648,9 @@ cdef class Swings(IndicatorOHLC):
                 if self._min_t > 0:
                     self.bottoms.update(self._min_t, self._min_l)
                     self.bottoms_detection_lag.update(self._min_t, time - self._min_t)
+                    if len(self.tops) > 0:
+                        self.middles.update(time, (self.tops[0] + self.bottoms[0]) / 2)
+                        self.deltas.update(time, self.tops[0] - self.bottoms[0])
 
                 if bar.high >= self._max_h:
                     self._max_h = bar.high

{qubx-0.2.64 → qubx-0.2.65}/src/qubx/utils/charting/lookinglass.py

@@ -4,6 +4,7 @@ import plotly.graph_objects as go
 from plotly.graph_objs.graph_objs import FigureWidget
 from plotly.subplots import make_subplots
 
+from qubx.core.series import OHLCV, TimeSeries
 from qubx.utils.charting.mpl_helpers import ohlc_plot
 from qubx.utils.charting.mpl_helpers import plot_trends
 from qubx.utils.charting.mpl_helpers import subplot
@@ -110,7 +111,7 @@ def install_plotly_helpers():
                 arrowcolor=c,
             )
 
-        def custom_hover(v, h=600, n=2, legend=False, show_info=True):
+        def hover(v, h=600, n=2, legend=False, show_info=True):
             return (
                 v.update_traces(xaxis="x1")
                 .update_layout(
@@ -140,7 +141,7 @@ def install_plotly_helpers():
                 )
             )
 
-        FigureWidget.hover = custom_hover  # type: ignore
+        FigureWidget.hover = hover  # type: ignore
         FigureWidget.rline = rline  # type: ignore
         FigureWidget.rlinex = rlinex  # type: ignore
         FigureWidget.rline_ = rline_  # type: ignore
@@ -287,7 +288,8 @@ class LookingGlassMatplotLib(AbstractLookingGlass):
         else:
             _lbl = y.name if hasattr(y, "name") and y.name else ("%s_%d" % (study_name, k))
 
-            if isinstance(y, pd.DataFrame):
+            if isinstance(y, (pd.DataFrame, OHLCV)):
+                y = y.pd() if isinstance(y, OHLCV) else y
 
                 yy = y[zoom] if zoom else y
 
@@ -429,6 +431,7 @@ class LookingGlassMatplotLib(AbstractLookingGlass):
                     for _col in yy.columns:
                         self.__plot_as_type(yy[_col], plot_style, self._n_style, _col)
             else:
+                y = y.pd() if isinstance(y, TimeSeries) else y
                 yy = y[zoom] if zoom else y
                 self.__plot_as_type(yy, plot_style, self._n_style, _lbl)
 
@@ -561,7 +564,8 @@ class LookingGlassPlotly(AbstractLookingGlass):
             )
             self.fig.add_trace(go.Scatter(**_args), row=row, col=col)
 
-        if isinstance(y, pd.DataFrame):
+        if isinstance(y, (pd.DataFrame, OHLCV)):
+            y = y.pd() if isinstance(y, OHLCV) else y
             yy = y[zoom] if zoom else y
 
             # candlesticks
@@ -812,6 +816,7 @@ class LookingGlassPlotly(AbstractLookingGlass):
                 for _col in yy.columns:
                     self.__plot_as_type(yy[_col], row, col, plot_style, _col)
         else:
+            y = y.pd() if isinstance(y, TimeSeries) else y
             yy = y[zoom] if zoom else y
             self.__plot_as_type(yy, row, col, plot_style, _lbl)